The latest functionality, called ‘Liquidity Type’, has been developed in response to a strong desire among practitioners for the identification of addressable activity within OTC and SI trade reports. It has become apparent that a high proportion of activity labelled as SI is non-addressable, such as technical trades. This is also evidence that SI transactions are being reported twice, as participants continue to become accustomed to the new MiFID II regime.

The new Liquidity Type functionality enables clients using Liquidity Cockpit to distinguish between total addressable and non-addressable activity for OTC and SI transactions. Addressable activity excludes trades with any of the following conditions: non price forming trade; trade not contributing to the price discovery process; technical trade; ex/cum or special dividend; duplicative trade report; trade with conditions; give-up/give-in trade.

A more granular understanding of OTC and SI volumes are crucial to all market participants, particularly when trying to prove to clients and regulators that Best Execution policies are being complied with.

The new Liquidity Cockpit functionality shows that less than 50% of the total SI volume reported is addressable. The Liquidity Cockpit analytics normalise liquidity all different types of venues and offers the user an interactive dashboard to understand liquidity across time, venues, regions, a range of new condition codes and individual securities.

Robin Mess, CEO at big xyt commented, “With the additional quantity of prices and trades being reported as OTC and by SIs, firms need to be able to identify where prices are really addressable and accessible to them; for instance, even though a tick may appear on the reported tape, unless an algorithm is available to spot it and trade it, firms could not be held accountable for missing it when challenged.”

Mess continued, “Being responsive to our clients is very important to the team here at big xyt and I am delighted that we have been able to quickly deliver this solution to an unforeseen complication of MiFID II implementation.”

Tim Cave, an equities analyst for TABB Group in London, added “It has become clear at the outset of MiFID II that lots of different OTC activity is being reported under the SI flag, making it difficult to decipher what is addressable liquidity and what isn’t.” He added “Anything that provides greater clarity in this area helps both practitioners and regulators gain a better understanding of where true liquidity resides in Europe's equity market and that can only be a good thing for the industry as a whole."

Liquidity Cockpit provides clients with a normalised view of granular tick data and overview of market share across all major European venues and the ability to act on changing market dynamics. It keeps track of changes in trade conditions or execution venues, and applies custom measures such as LIS classified trades. Crucially the Liquidity Cockpit can predict the impact of dark pool volume caps.

big xyt provides independent smart data and analytics solutions to the global trading and investment community, enabling firms to process and normalise large data sets on demand and in real time, in order to comply with regulatory requirements and reduce the complexity of their operations.

The seamless and highly scalable integration of big xyt data aggregation and consolidation capabilities allows buy-side and sell-side firms to transform into a data-driven business while the innovative analytics capabilities enable them to gain actionable insights, discover alpha and maintain a competitive advantage.

Connecting quickly and easily to our cloud-based platform via APIs, trading firms, ISVs and trading venues can use their own business logic and data sets on our platform to leverage analytics for their business, including liquidity measures such as market share or depth of order book, as well as analytics around market impact. New logic can be incorporated in as little as 24 hours.

big xyt has created an ecosystem for tick data analytics covering more than 120 trading venues globally. Its technology normalizes trade conditions of all venues allowing consistent aggregations of trading volumes. big xyt’s analytics solutions are relevant for a broad range of use cases including strategy development, back testing and regulatory changes like MiFID II. The platform offers a convenient and interactive user interface that allows users to discover relevant information quickly. Delivered as a web service, the big xyt solution requires no technical integration.

big xyt was founded by a team of experts combining more than five decades of experience in risk management, regulatory and financial reporting, analytics solutions arising from regulatory requirements, e.g. MiFID II, and engineering for data management and analytics. The team of seven founders has been working together since 2005 and in 2014 they formally formed big xyt to continue and expand this work.